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On the accuracy of the remainder term estimation in the central limit theorem
L. V. Rozovskiĭ Leningrad
Abstract:
Let
$X_1,\dots$ be a sequence of independent random variables with a common distribution function
$V(x)$. Put
\begin{gather*}
F_n(x)=\mathbf P\biggl\{\frac{1}{b_n}(X_1+\dots+X_n)-a_n<x\biggr\},\\
\Phi(x)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^x e^{t^2/2}\,dt,\quad\Delta(b_n,a_n)=\sup_x|F_n(x)-\Phi(x)|,\\
\Delta_n=\inf_{a_n,b_n}\Delta(b_n,a_n)
\end{gather*}
where
$a_n$,
$b_n$ (
$b_n>0$) are sequences of real numbers.
The paper deals with questions of the accuracy in estimating
$|F_n(x)-\Phi(x)|$ when
$V(x)$ belongs to the domain of attraction of a normal law. In particular, necessary and sufficient conditions for
$$
\biggl(\sum_{n=1}^{\infty}(g(n)\Delta_n)^s\frac{1}{n}\biggr)^{1/s}<\infty,\qquad 1\le s\le\infty,
$$
are obtained. (Here
$g(x)$ is a function which satisfies some conditions.)
Received: 28.02.1977